First you will need to get it wired to your internet source, i.e. your modem or router. If you have the older model PS2 you will need to buy the PS2 Network Adapter to connect it- the slim models have the jacks built in.

Once it is wired up you will need to run the set up routine- this came on a disc with the network adapter (for the fat models) and with the slim PS2s.